Real Estate Finance in Korea: Market Analysis and Institutional Promotio
2001,
2001 29 Real Estate Finance in Korea: Market Analysis and Institutional Promotions
, 2001 29 / / 2-22 / 2001 12 28 / 2001 12 31 1591-6 (431-712) 031-380-0426() 031-380-0114() / 031-380-0474 6,000 / ISBN 89-8182- 176-3-93300 http://www.krihs.re.kr 2001,.
.,.,,,. 1998 4, 1998 9. 1999 1, 2001 7..
....,,. 2001 12
,,,..,., 1998,,.,,,,,,, < >. < >,
2. ABS MBS,. 3, 4 3.,, 5.,... 1 2,. 1970 80 2. 1991 1990. 1997. 1998
1999 1., 2001 7.... 1997, 1998.... 50..... 3,
,,,,,.,,,,,,,.,,,.,,,.,,.,...,.
.. 4.. ABS, ABS,...., CR-REITs. 2000 7 1, 20016.,,,,,.,,. 5
,,,..,,,.,,.,,, KoMoCo, KoMoCo.,,,....
1 1. 1 2. 2 3. 4 2 1. 9 1) 9 2) 11 3) 12 4) 14 2. 14 1) 14 2) 22 3) 25
3 1. 27 2. 28 1) 28 2) 42 3. 50 1) 50 2) 66 4. 70 4 1. 73 1) 73 2) 91 2. 109 1) 109 2) 116 3. 121 5 1. 125 2. 126 3. 134 141 SUMMARY 143 147 165
< -1> 4 < -1> 11 < -2> 16 < -3> 18 < -4> 18 < -5> ( ) 20 < -6> GDP,, ( 1, 2 ) 21 < -7> 21 < -8> 23 < -9> 2000-2001 ABS 24 < -10> 25 < -11> 26 < -1> MBS MBB 44 < -2> 52 < -3> 59 < -4> 63 < -5> 65 < -6> ( ) 68 < -7> 69 < -8> 70 < -1> ABS ABS 74
< -2> 2000-2001 ABS 75 < -3> ABS 76 < -4> ABS 77 < -5> ABS 79 < -6> ABS 80 < -7> ABS 80 < -8> 20002001 CBO 81 < -9> 2000NPL (ABS) 82 < -10> ABS 83 < -11> 2000 ABS (2000 12 31 ) 84 < -12> Primary CBO 86 < -13> 92 < -14> 93 < -15> MBS 95 < -16> MBS (KoMoCo) 97 < -17> 97 < -18> 97 < -19> (%) 100 < -20> 102 < -21> PIR 105 < -22> LTV 105 < -23> 111 < -24> 112 < -25> 117 < -26> 1 118 < -27> 123
< -1>, 10 < -2> 15 < -3> 16 < -4> 17 < -5> 20 < -6> MBS (2000 ) 23 < -1> 27 < -2> 30 < -3> 43 < -4> 46 < -5> 53 < -6> 57 < -7> 66 < -1> 93 < -2> LTV 104 < -3> 1 119
1 C H A P T E R 1.., (,,,, ).. -.,,..,.. 1 1
,. --,.. 2. 1).,., (loan, ),, (investment, ). ( ). (loan), (investment), (resource mobilization by asset securitization),, 2
. 1997. 2001, 1998 9 ( ) 1999 1...,,., (SPC),,.. 2),. (< -1> ),,,.,,,, ABS MBS.,. 1 3
< - 1> () : - (binomial interest rates tree) (1999) MBS - MBS - MBS : Fabozzi, F. J.(1996) : - (1999) - - ABS REITs : ( ) : - (, ) (1997) - - : : - (REITs, LTP, SPC) (1999) - (,,,,, ) : : - (1999) - MBS : 5 ( ) ABS 3. 1) 4
, 1998,,.,,,,,,, < >. 1 5
2)
2. ABS MBS,. 3.,,,. 4 3.,. 5,.,.. 1 7
2 C H A P T E R 1. 1),. 3/ 4, 1/ 4..,,. 2 9
< - 1>, 970-80.. 2. 1991, 1990. 1997.,,,.. 2001,. 10
. 2) 1997.,, 100. 1974 7,. 2,500.. < - 1> 1980.9.27 () 1984.7.19 1993.2.8 30 1994.1.20 10 11 30 1995.4.10 10 1997.8.1 10 : 2 11
1994 10, 1997.. 3) (1).,.. 1, 2. 60 (18 ) 3 9.5%, 100 (33 )... 1990.. 12
1992. 1998. 1990., 1993 5.,. (2) 1990. 1994.. 1996.,,. 1997,. 1997. 1998. 2000 3 2 13
.. 4), 1998. 1., 1999 1, 9 (KoMoCo).., 2001 7. 2. 1) 1997 (loan).. 14
,. 1),. 1995152 2000 311 5 2. 1995 111 2000 202, 1995 41 2000 109 (< -2> ). < -2> 1) (, 2000), ( ),,.,,,. 2 15
< -2> (1) (2) (3) 1992 1,027,970 100.0 799,487 77.8 68,513 8.6 290 0.03 228,483 22.2 123,437 12.0 1993 1,151,374 100.0 870,226 75.6 77,585 8.9 430 0.04 281,148 24.4 146,446 12.7 1994 1,358,503 100.0 990,294 72.9 89,048 9.0 429 0.03 368,209 27.1 165,286 12.2 1995 1,524,777 100.0 1,110,272 72.8 114,010 10.3 857 0.06 414,505 27.2 181,831 11.9 1996 1,771,841 100.0 1,269,911 71.7 130,676 10.3 2,015 0.11 501,931 28.3 185,456 10.5 1997 2,004,011 100.0 1,418,754 70.8 137,693 9.7 2,904 0.14 585,257 29.2 196,118 9.8 1998 2,002,891 100.0 1,447,675 72.3 141,577 9.8 9,066 0.45 555,216 27.7 195,226 9.8 1999 2,502,401 100.0 1,711,142 68.4 148,150 8.7 30,279 1.21 791,259 31.6 218,511 8.7 2000 3,108,041 100.0 2,018,591 65.0 152,476 7.6 47,526 1.53 1,089,450 35.1 263,455 8.5 : DB, (http://www.bok.or.kr) (: ) (1)+(2)+(3) 192,240 18.7 224,460 19.5 254,763 18.8 296,698 19.5 318,147 18.0 336,715 16.8 345,869 17.3 396,940 15.9 463,457 14.9 < -3> 16
199530 2000 46,. 1998 (< -3>). 1998 1 17.01%, 2001 8 7.51% (< -4> ). 2001 8 (7.29%) (8.00%), 8.79% 8.78%. 199724.31%, 2001 7 7.00%. < -4> 2 17
< -3> (: %) ( ) 1997 12 14.58 13.22 14.98 17.15 15.05 24.31 1998 06 16.49 16.45 16.52 17.78 17.63 16.64 1998 12 11.33 12.93 10.96 12.84 13.22 8.3 1999 06 9.06 10.46 8.55 11.21 11.3 8.06 1999 12 8.58 10.08 8.17 9.51 10.45 9.85 2000 06 8.49 9.87 8.21 10.11 10.74 9.72 2000 12 8.41 9.48 8.11 10.73 10.43 8.12 2001 04 8.1 8.70 7.85 9.68 9.65 7.91 2001 05 7.99 8.54 7.74 9.61 9.44 7.70 2001 06 7.89 8.57 7.61 9.05 9.00 7.24 2001 07 7.78 8.39 7.55 8.33 9.11 7.00 2001 08 7.51 8.00 7.29 8.79 8.78 - : (http://www.bok.or.kr) 1994 1,312,318 100.0 1995 1,628,440 100.0 1996 1,982,587 100.0 1997 2,274,855 100.0 1998 1,483,429 100.0 1999 1,158,986 100.0 2000 1,027,959 100.0 < -4> (: ) (1)+(2)+(3) (1) (2) (3) 1,065,888 81.2 1,303,787 80.1 1,593,913 80.4 1,822,353 80.1 1,157,088 78.0 856,030 73.9 745,160 72.5 175,942 13.4 224,550 13.8 237,779 12.0 239,270 10.5 119,267 8.0 77,674 6.7 54,982 5.4 798 0.08 1,241 0.15 2,935 0.19 4,425 0.54 7,970 0.73 8,469 0.79 8,171 0.79 246,430 18.8 324,654 19.9 388,673 19.6 452,503 19.9 326,341 22.0 302,956 26.1 282,799 27.5 6,984 0.5 8,261 0.5 7,768 0.4 12,141 0.5 10,244 0.7 6,275 0.5 6,329 0.6 183,724 14.0 234,052 14.4 248,482 12.5 255,836 11.3 137,481 9.3 92,418 8.0 69,482 6.8 18
5. 1/ 4.,..,. 1995 315 1997 428 350. 2000 414 5 20%. 1997324 2000 276, 76% 67%. 1998 199523.4%2000 33.2%.. 1997 32 2000 21, 1997 21 2000 27 (< -5 ). 5, < -5>. 2 19
< -5> 1994 1995 1996 1997 1998 1999 2000-5> ( ) (: ) + (1) (2) (3) (1)+(2)+(3) 2,670,821 100.0 2,056,182 77.0 264,990 9.9 1,227 0.0 614,639 23.0 172,270 6.5 438,487 16.4 3,153,217 100.0 2,414,059 76.6 338,560 10.7 2,098 0.1 739,159 23.4 190,092 6.0 530,750 16.8 3,754,428 2,863,824 368,455 4,950 890,604 193,224 566,629 100.0 76.3 9.8 0.1 23.7 5.1 15.1 4,278,866 100.0 3,241,107 75.7 376,963 8.8 7,329 0.2 1,037,760 24.3 208,259 4.9 592,551 13.8 3,486,320 100.0 2,604,763 74.7 260,844 7.5 17,036 0.5 881,557 25.3 205,470 5.9 483,350 13.9 3,661,387 2,567,172 225,824 38,748 1,094,215 224,786 489,358 100.0 70.1 6.2 1.1 29.9 6.1 13.4 4,136,000 100.0 2,763,751 66.8 207,458 5.0 55,697 1.3 1,372,249 33.2 269,784 6.5 532,939 12.9 20
. GDP 13% 10%. 1994 95 5%. < -6> GDP,, ( 1, 2 ) (:, %) / (A) (B) (C) (D) GDP / GDP / GDP 1994 3,234,071 2,670,821 438,487 172,270 82.58 13.56 5.33 1995 3,773,498 3,153,217 530,750 190,092 83.56 14.07 5.04 1996 4,184,790 3,754,428 566,629 193,224 89.72 13.54 4.62 1997 4,532,764 4,278,866 592,551 208,259 94.40 13.07 4.59 1998 4,443,665 3,486,320 483,350 205,470 78.46 10.88 4.62 1999 4,827,442 3,661,387 489,358 224,786 75.85 10.14 4.66 2000 5,170,966 4,136,000 532,939 269,784 79.99 10.31 5.22 : < -7> (: 10, %) GDP GDP(C) (A) (B) A/ C B/ C 1990 211.1 2,932.1 5,803.2 3.64 50.5 1993 155.0 3,413.1 6,642.3 2.33 51.4 1997 248.4 4,270.1 8,300.8 2.99 51.4 1990 24,885.7 123,145.2 430,040 5.79 28.6 1993 25,422.7 148,402.0 475,381 5.35 31.2 1997 29,704.9 176,685.9 507,271 5.86 35.0 1990 6,338.9 15,838.2 178,796.8 3.55 8.9 1993 8,217.1 28,517.5 277,496.5 2.96 10.3 1997 13,629.9 52,791.8 453,276.4 3.01 11.6 1999 17,059.3 61,346.8 483,800.0 3.53 12.7 :. 2000. 12. 20. MBS. 1. ( ) 2 21
. ( ) GDP, 2000 5.22%(1997 4.6%) 3.0%(1997), 5.9%(1997). 50%, 35% 10%.,. 2) 19992001 6 78 2,317( 273 ). 2000 49 3,832(80154 ), (6 7,709) 7.3, (73 114) 68%. (SPC) (ABS) 47 377 ABS 95.3%. 2001 22 776 (87 ) ABS, 21 6,052 97.8% (< -1> ). 2000MBS (73 114) 1.9%, (58 6,628) 2.4%ABS. 22
< -6> MBS (2000 ), 1999, 2000 (73 114)80.3%.. < -8> (: ) 1991 127,175 (82.6) 26,871 (17.4) 154,046 1992 111,553 (82.6) 23,499 (17.4) 135,052 1993 155,999 (82.7) 32,588 (17.3) 188,586 1994 200,502 (76.2) 62,478 (23.8) 262,980 1995 235,982 (79.0) 62,665 (21.0) 298,647 1996 299,049 (85.0) 52,858 (15.0) 351,907 1997 343,221 (91.0) 33,890 (9.0) 377,111 1998 560,003 (79.8) 141,581 (20.2) 701,584 1999 306,714 (42.7) 411,140 (57.3) 717,854 2000 586,628 (80.3) 143,485 (19.7) 730,114 :. 2001. 8.. 2 23
ABS ( ) 2 5,698 ABS 5.2%, 2001 5,063 2.3% (< -9> ). < -9> 2000-2001 ABS (: ) ( ) * * ( ) 2000 2001 204,154 (41.4%) 2,868 (1.3%) 73,073 (14.8%) 45,951 (20.8%) 10,463 ( 2.1%) - 287,690 (58.3%) 48,819 (22.1%) () 103,118 (20.9%) 66,630 (30.2%) 55,969 (11.3%) 13,657 (6.2%) 13,788 ( 2.8%) 2,794 (1.3%) 9,896 ( 2.0%) 5,913 (2.7%) 8,616 ( 1.7%) 73,252 (33.2%) 2,845 ( 0.6%) 7,442 (3.4%) 194,232 (39.3%) 169,688 (76.9%) 11,910 ( 2.4%) 2,269 (1.0%) 493,832 (100%) 220,776 (100.0%) : * S-CBO, P-CBO : (http://www.fss.or.kr/) ABS 20001 1,910 2001 2,269 2.4% 1.0%. (MBS) 2000 1 3,788, 2001 2,794 (ABS) 2.8% 1.3%, MBS 2001 10 112 1,752 MBS (< -9> ). 2001 10 MBS KoMoCo 20,216, MBS 6 1,536. 24
< - 10> (:, %) (MBS ) 12,789 (92.7) (3.0) 410 (ABS ) (4.3) 589 (MBS) 13,788 (100.0) 2000 2001 2000 2001. 10. 2,377 (85.1) 417 (14.9) 2,794 (100.0) ABS 493,832 220,776 : - 20,216 KoMoCo (92.9) 410 SPC (1.9) 1,126 (5.2) 21,752 (100.0) 3) 2001.. 2001 7.,,. 2001 6 13 3,395. 6 1,580, 2 950, 4 760, 1 105. 2 25
< - 11> 2000 2001 1-4 930 5-6 650 6 1,580 1 650 2 300 2 950 1-2 160 3-4 600 4 760 - - 1 105 1 105 1740 1655 13 3,395 1998. 1998, 2001. < -2>, < -3>.,. 1998 ABS... 26
3 C H A P T E R 1.. (, ), (,, ) (< -1> ). < - 1> (,,,,,, SPC, SPC,,,, ( ) 3 27
( ). ( ) ( ). (SPC),..,,,. 2. 1) (1) (1998 9 16 ).,, ( 1 ). ( ) (, 28
, ), ( 2 1 )., ( 2 1 )., ( 2 1 )., ( 2 3 ). (2),.. 3 29
< -2> (, ) (, ) SPC ABS ABS (, ) ABS ABS (, ) ( ) ( ),.,. 2 2.,,,,,,,,, 30
( ) 1 ( 2 ). ( ) (ABS ; asset backed securities). 3 5 2),, ( 17 ).. 577 1 2,. 3) 2) 3 5 546 1, 1 5,. 3), 3 31
( 25 )., ( 20 ). ( 22 ).,,., 3.,,, ( 16 ). 462 ( ),,, ( 24 ). 32
( 30 ). ( ),., ( 27 ).., ( 33 ). ( 32 ). ( 28 ).,, 4 470 ( 31 ). ( ) (paper company). 3 33
,,.,,,. ( ),, ( 17 ).. 3. (credit line)..,.,,, 34
(arranger).,,,. (3) ( ),,, 4) 5) ( 3, 20 1 ). 1 6) ( 3 ). ( ), ( 13 ).,., ( ). 4), (3 ). 5) ( 20 4 ). 6). 3 35
( 3 3 ). ( 6 ). : 3 : ( ).,.,, 3. ( ) ( 9 1 ). ( 9 ). 36
,, ( 9 2 )., 1),, 2) ( ) 3) (22 ). (4) ( ) 450 3. 3 ( 17 ). ( ) ( ). ( 3 ) 3 3. 3 37
( ), ( 186 )..., ( 18 )., ( 18 )., 2 4, 21, 16, 213 38
4 1 5 ( 18, 36 ). ( ) 2 5 7) 3 2001 12 31 5 ( 1 6 ) 10050 ( 56 ). 8) 20%,. 1999 1 1 33 1 12 3, 9). 61 1 ( ). 16 ( 362). 7). 8) 1999 12 31,,, ( 119-120 ).. 9). 3 39
( ) ( 14 ).,.,. 54 106. 152.,. 2 563 596,. 30. 40
. 4,. ( ). (5). BIS, BIS. (exposure management)... (ROE). (pool) (packaging cost),. 3 41
(leverage financing).. (off-balance sheet financing).. ABS (portfolio). 2) (1) < -3>.. 42
< -3> ( ) 1 2 1(primary mortgage market), 2(secondary mortgage market). 1, ( ),. 2,,,.,.. 3 43
(Mortgage Backed Securities, MBS). (equity-type) (bond-type),. MBS. (tranches) pass-through MBS pay-through MBS. (bond-type) MBS MBS, (MBB ; Mortgage Backed-Bond). MBS MBS, MBS. (MPTB ; Mortgage Pay-Through Bond) (multi-class securities) (CMO ; Collateralized Mortgage Obligation). < - 1> MBS MBB pass-through MBS - - - 1 pay-through MBS MBB - - - - - :. 2001. 5. (MBS). 44
(2) ( ) (ABS) (1998 5 ) 1998 9.. SPC. 1998 12 (1998 12 12 ), (KoMoCo) 1999 9. (1998. 9. 16, ) (1999. 1. 29, ) (< -4>).,. 3 45
( 1 ).,.. < -4> 1 A BS (SPC) MBS 2 ( ) 21 ( ) (MBB), ( ) (MBS) ( 21). 46
( ) ( 22). ( 23),. ( ), 250,, ( 3 ). ( ) ( ) 20 ( 13 ). ( ) (true sale), ( 52)., 3 47
( ) ( 7 ).., ( 62). 10., 10 ( 62). (3) ( ),.,.,,. (SPC) 48
.,,,. ( ).,.,. 50%0%,,.., (built-in stabilizer). (4).,,., 3 49
( 120 1 13 )., 50% ( 56 ).., ( 120 1 13 ). 2. (2001 7 1 ),, 10). 11) 1) (1),, 1998 4. 1998 91999 1 ABS MBS... 10). 11),,. 50
1999 2000, 7 24, 11 14 11 20. 2000 12 13. 2001 2 20, 2001 3 8. 12),. 13) 2001 4 26, 5 24. 1. 12) 2000 10., 2000 10 25. 13),. 3 51
< -2> 1991 2 1998 4 1998 9 1999 1 (ABS) (MBS) 2001 45 (4 ) (5 ) (2), ( 1 ). 14). ( ) (< -5>).. 14). 52
< -5>, ( ) :. 2000. 5. 29. ;. 2000. 7. 24. ( ).. 500, ( 3 5 6, 14 1 ). 1 ( ) 10% 10% ( 15 1 2 )., ( 17, 10 ), 3 53
( 20 ). 10% 30% ( 7 9, 5 ). ( 11 ), ( 19 ). 3 ( 14 1 ). 5 ( 22 1 ) 3 ( 22 1 ) 5, 3 ( 14 2 ) 5 3 ( 14 2 ) 142 1 30% ( 14 2 ) 10, 3 ( 23 1 2, 16 1 2 ).,, ( 17 1 ), 54
, ( 17 1 ), ( 26 3 ). 90%,, 70% ( 25 1 ). 90% ( 28 1 )., 30% ( 21, 26 1 2 ). 3 ( 24, 18 1 )., ( 24 )., ( 24 3 ). 10% ( 27 ), ( 29 ).,, ( 23 ). ( 28 2 ). 3/ 100 ( 30 ). 3 55
( 35, 27 1 ). ( ),,, ( ). ( 36 3 ).,, ( 39 1 ). ( ) (mutual fund).(< -6>), (paper company) 70% ( 492 1 ). 56
< -6> ( ) (Paper Company) 70% ( 30% ) 30% (AMC),. (AMC : Asset Management Company).,, 70, 5.. 3 57
500 ( 5 1, 6, 492 1, 35 1 ). ( 492 2 ) 70% ( 492 1 ), ( 492 1 ). 70, 5 ( 493 1 ). ( 493 1 ), ( 493 3 ). ( 496 1 ), ( 496 2 ).,,,, ( 496 3 ).. 30% ( 9 ) ( 11 ) 58
1 (10%) ( 15 ) (, 90%, 70%) ( 25 1 ) (2 ) ( 24 ) 90% ( 28 ). 90% < -3>... < -3> (REITs) ( 6471, 2001.04.07, 04.10 ) ( )( 49 ( 21) 2) : 500 ( 6 ) : : ( :, 3 ) ( 35 ) : :, : 3 ( 35 ) ( 14 ) 3 59
1 10% ( 1 ( 15 15 ) ) 30% ( 9 ( 9 ) ) ( 11 ) 30% ( 11 ) ( 19 ) ( 493) 70% ( 25 ) 70% 90% ( 492 ), ( 25 ) 90%, ( 28 ) 90% 30% ( 26 ) : : ( 29 ) ( 24 ) ( 24 ) (3 ) ( 24, 18 ) 5 ( 22 ) 3 ( 22 ) 5, 3 ( 14 ) 5 3 ( 14 ) 1421 30% ( 14 ) ( 1 ) 60
( 493) - 10 - : 70-3 ( - : 5 16 ) - -, ( 21 ).( 35, 27 ) - :,,, - : ( ), : ( 36 ) : ( 36 ), ( 37, 38 ) ( 38 ) - ( 3, 23, 493 ),, ( 39 ) ( 39 ) - -,, ( 40 ),,, ( 41 ) 3 61
: ( 30 ) - - 3/ 100 : ( 31 ) ( 32 ) :, ( 34 ) : ( ),,,,,,,,,.,,,,.,.,. 10, 70. 3 5., 62
(< -4> ). < -4> 10 2001. 7. 1 70 2001. 7 1 Fund ( ) 3 Fund ( ) ( ) :. 2001. 6. 15. REITs (3),..,.,,..,., 3 63
. 15).,.,,,.,,,,,,,,,..,.,.,.,. (4). < -5> 15) 2000 2 14,, S&P 500-6%-10%,. 64
50%.,,,. 50%,. < -5> Paper Company( ) 500 70% 70% 30% 30% ( ) 90% (90% ) -, 50%. ( : 15%) 50% :. 2001. 4.. 2001. 5. 9. 3 65
2) (1) 1984 4 16) ( 15 ), ( 11 ),, ( 13 ),. 1998 4,,. (2).. < -7> (MBS ) 16) 13 10070,. 66
( ) () (< -6>). 100%,..,..,,.,. REITs LPT. 3 67
< -6> ( ), -, ( ), -, REITs LPT () 100%, -, -,, (REITs),, (escrow account). (project financing),.,,.,,. 68
17). (3) < -7>. (conduit), 50%.. < -7> - 50%( ) - - 17) 1-2%. 12% 15% 3%. 3 69
3. 3 < -8>. < -8>, 1998 9 1999 1 2001 7 2001 7 1998 4,,, 1 250 500 500 ( ),,,, ( ),,,,,,,,,, 110% 90% 90% 5 :. 2001. 6. 70
1998..,...... 3 71
..... 72
4 C H A P T E R 1. 1) (1) ( ) (ABS) ABS 2000 49 3,832 1999 6 7,709 7.3, 2001 22 776 ABS (< -1>). 2000 ABS 47 377 ABS 95.3%, 2001 21 6,052 97.8%. ABS 2000 58 6,628 69.9% 40 9,944, 2001 34 6,572 53.8% 18 6,456. 4 73
< - 1> ABS ABS (: ) 1999 2000 2001 44,447 (74.5%) 15,204 (25.5%) 59,651 (100%) 409,944 (87.2%) 60,433 (12.8%) 470,377 (100%) 186,456 (86.3%) 29,596 (13.7%) 216,052 (100%) 365,497 (822.3%) 45,229 (297.5%) 410,726 (688.5%) A B S - 8,058 8,058 12,160 11,295 23,455 2,280 2,444 4,724 12,160 (-) 3,237 (40.2%) 15,397 (191.1%) 44,447 (65.6%) 23,262 (34.4%) 67,709 (100%) 422,104 (85.5%) 71,728 (14.5%) 493,832 (100%) 188,736 (85.5%) 32,040 (14.5%) 220,776 (100%) 377,657 (849.7%) 48,466 (208.3%) 426,123 (629.3%) 306,714 (100%) 586,628 (100%) 346,572 (100.0%) 279,914 ( 91.3%) 262,267 (85.5%) 176,684 (30.1%) 160116 (46.2%) 85,583 ( 32.6%) ABS 44,447 (14.5%) 409,944 (69.9%) 186,456 (53.8%) 365,497 (688.5%) 1 : 2 : ABS 3 : ABS ABS(SPC ) 4 : 1999 2000 : 2000 72.8%, 27.2% 1999( 83.2%, 16.8%) 10%, 2001 (< -2>). 2000 AAA,. 2001 88.6%, 11.4%. 74
< -2> 2000-2001 ABS 2000 12,160 4,479 16,639-1,301 1,301 12,160 5,780 (: ) () 307,715 35,191 342,906 102,229 25,242 127,471 409,944 60,433 - - - - 5,515 5,515-5,515 319,875 39,670 359,545 (72.8%) 102,229 32,058 134,287 (27.2%) 422,104 (85.5%) 71,728 2001 * 2,280-2,280-97 97 2,280 97 470,377 (95.3%) 17,940 (3.6%) 5,515 (1.1%) 493,832 (100%) () 175,868 17,428 193,296 10,588 12,168 22,756 186,456 29,596 178,148 17,428 216,052 (97.9%) 2,377 (1.1%) - - - - 2,347 2,347-2,347 2,347 195,576 (88.6%) 10,588 14,612 25,200 (11.4%) 188,736 (85.5%) 32,040 220,776 (100%) 1 : 2000 (KoMoCo) MBS ( ) MBS( ) 3 (1 2,789) 2 : 2001 (KoMoCo) MBS ( ) MBS( ) 1 (2,377) : 1999 2000, CBO(Collateralized Bond Obligations), ABS. ABS(12 7,471) 10 2,229(80.2%).,. 2001 4 75
. ABS BIS,, (NPLs : Non-Performing Loans) ABS. < -3> ABS (: ) 2000 2001 () () (32 ) (22 ) (25 ) (4 ) (22 ) (5 ) (8 ) 60,911 179,923 87,095 5,618 60,796 5,328 17,755 (30 ) (1 ) (12 ) (1 ) (26 ) (1 ) (1 ) 57,289 589 44,898 1,220 91,295 3,618 2,377 (118 ) 417,426 (84.5%) (72 ) 201,286 (91.2%) (21 ) ( 2 ) ( 5 ) 48,445 5,158 13,525 (2 ) (3 ) (2 ) 1,109 3,579 5,913 (28 ) 67,128 (13.6%) (7 ) 10,601 (4.8%) 8 * 9,278 (1.9%) 8 * 8,889 (4.0%) (154 ) 493,832 (100%) (87 ) 220,776 (100%) : (http://www.fss.or.kr/) 6 10, ABS 3 (2000-2001 : 81%) (< -4>). ABS AA ABS 200099%, 2001 99.2%,,. 76
2000 < -4> ABS (: ) 1 2 3 4 5 6 7 8 () AAA 93,885 99,873 19,850 4,000 5,130 1,650 2,300 1,100 AA 13,925 34,163 10,330 3,500 8,365 1,650 1,750 3,080 A 252-2,000 - - - - - BBB - 252 331 219 110 - - - ( ) 108,062 (35.1%) 134,288 (43.6%) 32,511 (10.6%) 7,719 (2.5%) 13,605 (4.4%) 3,300 (1.1%) 4,050 (1.3%) 4,180 (1.4%) AAA 18,658 64,314 28,876 48,052 3,075 230 600 2,200 AA 2001-2,700 1,500 200 100 - - 4,000 BBB - - - - - 550 800 13 ( ) 18,658 (10.6%) 67,014 (38.1%) 30,376 (17.3%) 48,252 (27.4%) 3,175 (1.8%) 780 (0.5%) 1,400 (0.8%) 1 : 2000BBB 3BB 90 2 : 2001 (4 7,580) AAA : 6,213 (3.5%) 227,788 (74.0%) 76,763 (25.0%) 2,252 (0.7%) 912 (0.3%) 307,715 (100%) 166,005 (94.4%) 8,500 (4.8%) 1,363 (0.8%) 175,868 (100.0%), (Junk Bond),,,, 18), ( ) (< -9> ). CBO 200027 7,227 ABS(47 377) 58.9%. 99.5% 27 5,922, (58 6,628) CBO 47.0%. 2001, 16 9,688(76.8%), CBO 4 8,819(22.1%), 2,269(1.0%). 18). (future cash flow). 4 77
( ) ABS,, (< -9> ). ( ) ABS,,, ( ),,, 20001 1,910 2001 2,269 ABS 2.4% 1.0%... (Commercial Mortgage-Backed Securities: CMBS) (). CMBS, (RMBS). CMBS. 1999 2000 306 2,967,. 51 8,987, 111 8,926, 41 1,870, 56,360, 19) 19) 42.,,. 78
35,180. CMBS (19.3%). 5 ABS. 2 ABS ABS. 1 1,100, 8,000. 1 ABS 39.40%( 9.60%), 510.15%( 10.35%), (39.26%, 59.86%) 0.14% 0.29%( 0.34% 0.49%). (, ) ABS 20). < -5> ABS 1 2 5,550 5,550 ( ) 4,000 4,000 3 9.40% 9.86% 5 10.15% 10.26% 1999. 10. 5 2000. 4. 12 5 2 9,413 ABS 8,100( ) (< -6> ). 20) ABS 5,000 ABS 8,000 Credit-Line ABS. 4 79
< -6> ABS (: ) ( ) 1 (1999) 2 (2000) 1 150 (AAA) 3 (-)80bp 3 1,050 (AAA) 300 (AA) 3 (-)10bp 4 1,800 (AA) 3 (+)40bp 5 1,300 (AA) 1,500 (AA) 3 (+)50bp 5 1,350 (AA) 5 (+)100bp (FRN) 5.5 650 (AA) 3 (+)70bp 6 1,018 295 6,518 2,895 : 3. 2000. 12... 1999 12 10 2,279 ( : 1,900, : 379) ABS. (1,817), (327), (135). (SPC) ABS. < -7> ABS 1 1,200 AAA 3-10bp 2 700 AA- 3 +90bp 2 379 3% 2,279 : 3. 2000. 12... 2000 5 29 ( 2) 179( : 125, 80
: 54) ABS., (SPC), ABS. ( ) ABS ABS, CBO. 2000 CBO 55 27 7,227 ABS 58.9% ABS. S-CBO CBO 22 17 9,923. 7 7,490(43.1%) CBO. 8 P-CBO 17 7 3,073. < -8> 20002001 CBO 2000 S-CBO 22 3 7 2 (: ) 102,433 8,920 6,590 725 77,490 4,542 2,919 535 179,923 13,462 9,509 1,260 34 118,668 85,486 204,154 P-CBO 21 * 70,109 2,964 73,073 55 188,777 88,450 277,227 S-CBO 1 1 380 1,000 209 1,279 589 2,279 2001 2 1,380 1,488 2,868 P-CBO 11 44,338 1,613 45,951 13 45,718 3,101 48,819 68 234,495 91,551 326,046 : * P-CBO (SPC), 17 : 4 81
, NPL. 1999 (KAMCO) 15 2 8,510( : 2 4,518, : 3,992) NPL (ABS). 2000 NPL,, ABS 59 11 5,687( : 8 2,885, : 3 2,802) NPL. < -9> 2000NPL (ABS) (KAMCO) 26,480 ( 8 ) 21,965 (13 ) 35,443 (15 ) 8,947 ( 6 ) 11,686 ( 8 ) 11,166 ( 9 ) 73,609 (31 ) 42,078 (28 ) : Secondary CBO 21) :. 2001. 5. (MBS). (: ) 48,445 (21 ) ( : 38,415 : 10,030) 44,390 (21 ) ( : 26,595, : 17,795) 22,852 (17 ) ( : 17,875 : 4,977) 115,687 (59 ) ( : 82,885 : 32,802),,,,, NPL,. NPL ABS.. CBO (Junk Bond) 28 7,690(58.3%),, 21) 2000 12 Secondary CBO(Pool ) 33 20.4 ( : 11.9, : 8.5 ). 82
, 19 4,232(39.3%), 1 1,910(2.4%)., ABS (). (22 17 9,923), (25 8 7,095), (32 6 911), (22 6 796) 118 41 7,426(84.5%) 21 4 8,445(9.8%) ABS. < - 10> ABS ABS ABS : (http://www.fss.or.kr/) 8 26,480 13 21,965 21 48,445,. 1999 12 10 2,279( : 1,900, : 379) ABS. 2000 5 29 ( 2)179 ( : 125, : 54) ABS. 4 83
( <SPC>) ( ) (LSF3 Korean Property Company, Ltd.) ( ) ( ) ( 1 ) () LG ( ) LG ( ) ( ) < - 11> 2000 ABS (: ) (4) 1,002 [ () : 430, () : 572] 407 ( : 290, : 117) 419 ( : 377, : 42) 2,904 ( : 2,050, : 854) 1,221 ( : 810, : 411) 782 ( : 605, : 177) 1,237 ( : 1,100, : 137) 1,306 ( : 1,100, : 206) 8 9,278 - : 2000 12 31 :. 2001. 5. (ABS) 7. 31 12. 14 12. 14 12. 18 12. 20 12. 20 12. 26 12. 28., ABS(30 7,715) AA ABS 30 4,551 99%. 6 10, 2ABS 43.6%, 1 (35.1%), 3 (10.6%), 5 (4.4%), 4 (2.5%). (2), 3. 84
. BIS ROE. ABS... ( ) MBS. ABS. 2 22) 30 23). Secondary CBO, Primary CBO, ABS (ABCP), ABS/ ABCP(Revolving ABS/ ABCP) ABS (ABS) (NPL ),, (Auto-Loan, ), (,, ), ABS. 22) 2000 ABS (ABS ) 30 3,675 [ ABS : 40 4,055]. 23) ABS (1999 2000) 186 56 1,541[ ABS : 40 9,944 ]. 4 85
< - 12> Primary CBO (BBB-) L G 1 5,500 8. 2 60 43% (73%) 4,394 8. 11 25 16% (51%) 5,009 8. 30 35 20% (64%) 3,630 9. 8 31 36% (58%) SK 4,020 9. 8 33 33% (69%) 3,600 10. 11 33 32% (72%) 4,010 10. 25 29 25% (76%) 8,000 10. 30 51 29% (64%) 3,370 11. 1 27 30% (75%) 3,480 11. 20 28 20% (74%) 3,570 11. 27 26 27% (73%) 1,720 12. 20 25 25% (57%) 1,010 12. 23 18 27% (63%) 2,260 12. 28 25 28% (63%) 3,000 12. 28 28 20% (66%) 2,000 12. 29 26 35% (58%) 4,500 12. 29 37 24% (73%) 7 3,073 (17 ) 537 * 30% (68%) 1 : 2000 12 31 2 : 217 : (http://www.fss.or.kr/) ABS,,.,,,.,. ABS. 86
,, BIS,,,, ABS. ABS.,, CBO. (Primary CBO).,.,. ABS.,, Primary CBO ABS. 19992000 ABS,. 2000 ABS41.3%(20 4,154) S-CBO 2001 ABS (49 3,832). S-CBO 4 87
, Primary-CBO. Primary-CBO,, Primary-CBO, ( ). P-CBO CLO, Revolving,, ABS. (3) ( ) ABS ABS. ABS. ABS, (, ) 10 30bp( 30 50bp). ABS, ABS.., ABS.,.. ABS 88
. ABS., ABS. 29%(5%), CBO 43.3%., ABS.,. 1 5 10.. ( ) ABS., ( ) BIS (capital arbitrage). SPC ABS. SPC. 1998 3 MBS ABS 2,000 () 12%(25%). 1990 CLO ABCP (structured finance) 1995 851997 410. ABS 49 84.5% 1 6 (< 4 89
-3> ). 1.,.. (put-back option), (2000 7 ). ( ),....,..,, SPC.,,,,,.,,,,,. 90
.,,,,,.. 2) (1) 2 1.. ( ) 1, 24),,. 1990, 1996 1997. 80%. 1990, 1999 56.9%. 50% 24) 2001 11 1. 4 91
. 1997 8, 25). < - 13> (:, %) 1990 1995 1997 1999 (A) 2000 (B) (B-A) 76,244 <48.6> 80,551 <51.4> ( ) 61,703 <39.4> 185,045 <50.1> 184,036 <49.9> 141,924 <38.5> 252,562 <49.6> 222,649 <43.7> 170,984 <33.6> 341,008 <56.9> 242,116 <40.4> 185,728 <31.0> 379,354 <56.0> 289,728 <42.8> 217,538 <32.2> 38,346 (11.2) 47,162 (19.5) 31,810 (17.1) ( ) 5,354 12,749 18,694 22,644 23,615 971 ( ) 5,949 16,844 15,503 11,302 16,642 5,340 ( ) 1) 4,727 7,031 10,506 14,844 23,557 8,713 ( ) - 1,706 1,824 3,790 4,058 268 - - 33,842 15,875 7,862-8,704 156,795 (40.2) 369,081 (15.3) 509,053 (19.3) 598,999 (9.7) 676,494 (12.9) 77,495 2) 1,587 7,031 20,571 14,469 - - 1 : < >, ( ) 2 : 3 : 2000 : (http://www.bok.or.kr). 9.5% 1998 9%.. 10 25) 2001 4 (CD) 7%, 8%, 10% factoring. 92
. < - 1> < - 14> 1996.12 12.57 9.5 12.75 1997.12 24.31 9.5 14 1998.12 8.3 9 13 1999.12 9.85 9 11.25 2000.12 8.12 9 11.25 : 10 4 93
2. ( ) 2001 250, (KoMoCo)..,. (KoMoCo) 1,001 1999 9 1,051. (28.6%), (14.3%), (14.3%), (14.3%), (9.5%), 2000 11IFC(9.5%) (9.5%). KoMoCo MBS 2001 6 5 2 216 MBS. 2000 3 ( ) MBS 6, ( ) ( KoMoCo ) 5, ( ) 2001 11 132 2,025 MBS. 94.4%, (200073%, 2001 88.6%) (< -15>). MBS 20001 3,788ABS 154 49 3,832 2.8%, 2001 11 132 2,025 MBS. MBS 94
KoMoCo 2 216, MBS 8 1,809. ( ) ( ).. MBS, < -15>. < - 15> MBS MBS2000-1 MBS2000-2 2000. 3. 20 2000. 4. 10 2000. 9. 1 2000. 9. 5 589 3,976 5,000 410 : 1 10 : 430 : 10.13% 3 +355bp : A + AA : 10 : 159 : 20% : 6 6 : 3,690 : 8.15 10.04% : AAA : 6 7 : 286 : 2% : 6 7.5 : 4,790 : 7.38 9.00% : AAA : 8 9 : 210 : 6 7% : 5 : 330 : 1 + 145bp : AAA : 5 : 80 : 20% - (73%) - (80) - (93%) - KoMoCo - - (96%) (80%) - KoMoCo - (70) BIS 50% 20% 20% 50% ( ) ( ) 4 95
MBS2000-3 2 3 4 2000.12. 8 2001. 1. 19 2001. 3. 22 2001. 5. 14 3,813 211 105 101 : 6 10 : 3,680 : 6.82 8.60% : AAA : 11.5 : 133 : 6% BIS : 3 7 : 135 : 8.5 9.2% : AAA : 8 10 : 76 : 10 15% - (97%) - - KoMoCo (64%) : 5 7 : 80 : 7.7 12.0% : AAA BBB : 10 : 25 : 13% - (76%) : 5 10 : 73 : 8.5 12.0% : AAA BBB - : 15 : 28 : 13% - (72%) 20% 50% 50% 50% MBS 2001-1 5 ( ) MBS 2001-2 ( ) 6 ( ) 7 2001. 5. 18 2001. 9. 3 2001. 9. 20 2001. 10. 4 2001. 11. 8 2,377 120 5,050 136 137 : 6 10 : 4 11 : 114 : 4 11 : 4 11 : 2,280 : 95 : 106 : 100 : 6.8 8.0% : 5,000 : 6.6 10.0% : 6.75 10.0% : 6.24 7.99% : 4.9 6.92% : AAA : AAA : AAA : AAA : AAA BBB - BBB - BBB - : 12 : 12 : 15 : 12 13 : 12 13 : 97 : 2% : 25 : 15% : 50 : 8% : 28 : 13 15% : 37 : 13 15% - - (96%) - (99%) - - - KoMoCo (79%) - KoMoCo (78%) (73%) BIS 20% 50% 20% 50% 50% ( ) ( ) : http://www.bok.org, http://www.komoco.co.kr http://www.newsatate.co.kr ( ) 96
KoMoCo < -16> 5 1 9,440( ) MBS, MBS 26) < -17>, < -18>. < - 16> MBS (KoMoCo) MBS 2000-1 MBS 2000-2 MBS 2000-3 MBS 2001-1 MBS 2001-2 (2000. 4. 7) (2000. 9. 1) (2000. 12. 8) (2001. 5. 18) (2001. 9. 20) 3,690 4,790 3,680 2,280 5,000 9 Tranche 11 Tranche 12 Tranche 12 Tranche 7 Tranche 6 6 6 7.5 6 10 6 10 1 14 8.15 10.04% 7.38 9% ( 3 + Spread(30.4%)) ( 3 + Spread(30.38%)) 6.82 8.6% 6.24 7.99% 4.90 6.92% 3 3 3 3 3 AAA AAA AAA AAA AAA : http://www.komoco.co.kr < - 17> (A) (:, 2001 7 ) (B) (A/ B) MBS 2000-1 4,538 317,086 1.43% MBS 2000-2 4,623 436,511 1.13% MBS 2000-3 2,537 356,673 0.71% MBS 2001-1 5,121 226,126 2.26% : http://www.komoco.co.kr < - 18> (:, 2001 7 ) (A) (B) (A/ B) MBS 2000-1 3,279 309,676 1.06% MBS 2000-2 4,812 429,563 1.12% MBS 2000-3 2,586 353,220 0.73% MBS 2001-1 360 220,984 0.16% : http://www.komoco.co.kr 26) KoMoCo MBS, KoMoCo. 4 97
.... 2000 4 MBS KoMoCo MBS MBS 20%., 1 (2 MBS ), MBS 50% KoMoCo KoMoCo MBS 20%. (2).. 2000 1 3,788 67 6,494 2.04%.. MBS 1990 98
, 2 1..... 27) A= D(1- d) (l+l 2 +l 3 + ) =D(1- d) l/(1- l) A:, D(1-d):, l : (< -19> ).. 27) D (1-d)D. l l(1-d)d,. A=(1- d) D (l+l 2 +l 3 + ) =(1-d) D l/(1-l). 4 99
< - 19> (: %) 10 20 30 40 50 11.1 25.0 42.9 66.7 100.0 60 70 80 90 100 150.0 233.3 400.0 900.0 :. 1993.12... 2000 2.04% 2.08%. 37 9,354 1 2,789 3.37% 3.49%. 25% (1988 ) 33%.,.... 100
..,,.,.,.,,.. 1997,..., 5 19972.7% 19995.3%, 2000 16.3%. 4 101
< -20> (:, %) 4 45 5 1994 18,629,560 92.9 338,600 1.7 1,082,000 5.4 20,050,160 1995 22,169,230 93.9 50,000 0.2 1,379,000 5.8 23,598,230 1996 28,767,914 96.2 70,000 0.2 1,067,000 3.6 29,904,914 1997 33,366,821 97.2 27,000 0.1 928,300 2.7 34,322,121 1998 55,670,299 99.4 45,000 0.1 285,000 0.5 56,000,299 1999 28,768,444 93.8 290,000 0.9 1,613,000 5.3 30,671,444 2000 47,945,177 81.7 1,141,413 1.9 9,576,256 16.3 58,662,846 :. 2001. 8..,...,..., 1 102
. (LTV) 1999 2000. 28) 1999 28%, 23.4%1995 (25.0%, 22.1%) 2000 33.9%, 31.3%.. (PIR). LTV (PTI), (R/ Y)*. (R/ Y) = (R/ L) (L/ P) (P/ Y)PTI = R/ L LTV PIR (R/ Y)* LTV PIR. LTV (R/Y) * (L/R) / PIR R(L, i, n):, Y:, L:, i:, n: R = L i (1+i) n / [(1+i) n - 1] ( ) PIR LTV 20 9.5% 6% < -2>. 2000 PIR 5.0() 7.9() 29), 25%, 9.5% 20 LTV 44%, 28%, 6% 57%, 36%. 28). 2000.. 22 29). 2000.. 10 4 103
6% 80%. < -2> LTV PIR 3 20%.,, LTV 50%. (4). MBS,. ( ) MBS (1 ) MBS 1,. 1 104
.,. LTV 50%. (Price to Income: PIR) 1991 8.22000 5.0. < -21> PIR (: ) 1991 1995 1997 1999 2000 PIR 8.2 5.7 5.0 4.6 5.0 :. 2001. 5... 2000 67%. (Loan to Value: LTV) 1990, 200038% MBS 79%(1999),. < -2> 6% LTV 50%. < -22> LTV (: %) 1991 1995 1997 1999 2000 (1999) LTV 1) 20.7 26.4 29.4 33.1 38.1 78.7 : 1) 1991 95 :. 2001. 5. (MBS). 4 105
,., 30) 7 9%. 2001 5 3 6 7%, (AA) 7 8% 31) (1% ) 9% MBS. KoMoCo, 32) MBS, MBS. 2000KoMoCo MBS 9.5%, MBS 8.33 9.66% MBS. 1, MBS 1 MBS. 33), 30) BIS 50% 1. 31) 0.1 0.3%, 0.2%, 0.3%, 0.5 1.0%. 32) 0.2%, 0.5%, 0.1%. 33) 2000 1 21 ( 72, 62). 106
MBS. ( ) MBS, (MBB) SPC. MBB.,.. ABS MBS ABS..., 20 MBS. 2001 5 18 1 3,750(2000 2 1,660). KoMoCo MBS, KoMoCo Mortgage Pool MBS 4 107
. KoMoCo., Buy -and-sell. 1,. ( 5 )..,. MBS. MBS. MBS. MBIA FSA MBS.,. KoMoCo Fannie Mae,.,., MBS. MBS (Pricing). MBS. MBS Data., BIS MBS 108
. MBS 20%, SPC ABS MBS 50%. MBS KoMoCo MBS MBS. MBS 1 4% 34). 2. 1) (1). < 1>,. 1 "- ". 5"- ",, 428 (50.95%), 25(2.98%), 20(2.38%) 56.3%, 367 (43.7%) 35) 840., 1,114 34) MBS 4%. 35) 1 50 3 5,000 1 50 3%500 16%, 1,000 69%. 4 109
.. "- " 5 (put back option). 5 10.48% 8.0%, 6.8%. 1. 11 17 (AMC). 70 28%, SK,,. 1 (CR). 500, 150 350.,., 2,,, Task-Force,,.,,. (Aurthur Anderson),, Task-Force,,.,,,,,,,,,,,,, SK, 15,,,. 110
CR ( ) ( ) < -23> 500, SR 500 500-840, KI-CR 1,500, LG 1,800 JW 70, 70, 100, 70, CBRE- - 70 SOK,,,,,, SAMS :. 2001. 11. 27. (2)... 50%,..... 1990 4 111
..,,,.., 8% 4% 12%,. < -24> (bp) (A) (B) () (C) 1,209 13%, 5%, 2% 170 50%, 30 132 (30), (30), (30), (35), (12), (5) ( 32-35%), ( 32-35%) 35% (100), agency (100), (10), (5), (48), (1) 1 : 1 5% ( REIT (D) / 100 ), 18%. 0.1% 364 5 (72bp) (E) 116 (100), (5), (10), (1) (F) 2 CR- REIT. 5 1 (3, 1) (G) 407 G = B + (C 35%) + (D / 5) + E + F (H) 802 H = A - G = (I) 729 I = H 100 / 110% 10% ( ) = 73 (J) J = H - I 22 (K) K = J 30.8% (L) 50 L = H - (I + K) : 112
.. ( + - ).,,, ( ). 36),. (3) ( ),.,.,.,., 30%.,, 36). 2000. 6. 21.. 13 2. 4 113
, 3 150 37).. 38)...,. ( 3 3 ), 50 1.,.. 1,.,,., 29. 90% ( 28 ), 37) 150 (1999 8 ) 300. 38) 70%, 90%,, 75%,,. 114
,. ( ),.,, 1, 90%,.,.,.,,.,.,,,,,,,. ( ),.,. 4 115
...,. 1 1 5,.., 39). 2) (1) 1998 2000 7,. 13 3,395, 6 1,580, 2 950, 4 760, 1 105. 39) 11. 116
1 2000 7 24 130500 ~ 13 2 9 4. 2000 320 500 ~ 32 3 2000 9 4 300500 ~ 30 4 2000 9 4 180500 ~ 18 5 2001 3 16 4001~ 5 < -25> 1 6 12.0% 1 11.0% 1 6 1 6 12.0% 12.0% 15 7.6 8.0% 6 2001 4 10 250500 ~ 25 18 9.0% 1 9 29 2000 650500 2 2001 6 18 3001,000 ~ 3 1 2001 6 21 1051,000 ~ 3 1 2000 9 26 90500 ~ 18 1 8.7% 1 8.3% 2 2 2 2000 11 70500 1 9.2% 3 2001 4 26 250500 1 7.5 2 7 8.2% (766) (766) (294) 9.5 10.0% 1 12.3% 4 2001 5 28 350500 7.7 12 8.7% : e-, ().,,., 100, 15, 85 16.5% 71. 71%.,,,., 4 117
. (project financing).. 40). 1,, 8. < -26> 1 ( ) 1 6, 2000 7 242000 8 23, 1 - - 130 500 13 ( 10%), ( ) - : 80% -, ( ) - : 1.5% : 1 20% :. 2000. 7. 1. 40) 1-2%. 12% 15% 3%. 118
< -3> 1 / / ( ) :. 2000. 7. 1. (2),....,.,,., 4 119
.,.,.,....,,,. 1,000 100, 35, 65 16.5% 10.7, 54.3.., 16.5 83.5 5.43% 8.35%.,.. 120
,..,. 3. 4,,, < -27>.. (1),., (, ).. MBB.., 4 121
.. (2).,,,..,. (3)., BIS.,.,. 122
< -27> / - - - -BIS -MBB - - - - - - - - - - - -,, - - - - - - -PIR LTV - - - - - - -MBS - - - - - - 4 123
5 C H A P T E R 1....,.,., 5 125
,,,,,,,,. 3 4,,, (< -27>)....,,,.,,.. 2. 1) 126
(1) 1998.,.... 1999 16.8% 2000 27.2% 2001 11.4% (5% )..,.,.,.. 5 127
(2).,.,, (indenture provision), (dividend test), (retirement). 2) (1),..,.. (MBB), SPC 128
.. -(buy-and-hold). (buy-and-sell). FNMA(Fannie Mae) FHLMC(Freddie Mac), HKMC MBS. (2) 13 20. 20. (MBS), (Mortgage Pool) MBS.,. Fannie Mae Freddie Mac, MBS 0.45% 5 129
. 222. MBS. (3) KoMoCo KoMoCo. KoMoCo Fannie Mae..., KoMoCo.,., 1,., KoMoCo. 130
KoMoCo. (4),..,.... 3) (1),.... 5 131
15 1 10%, 16 1.,... 35,,... (2) 29. 90% ( 28 ).. (3), 30%. 132
.,,.,..,.,. (4) 2..,,,,,. 5 133
4),.,. (SPC),.,.. 3.,,. 1),,.,,,. 134
(1)..,.,. (2).. MBIA FSA. (3),,,,,,,..... 5 135
.., 1. NREI(National Real Estate Index) Russel/ NCREIF. (4),... (5),,,,,,. 5, 3, 5 3,,.,, 136
.. 2), (1),, 1, 90%.. 3% 1 8%, 19%, 13%. 6%.. (2).,,,,,.. 5 137
,.,,. (3),..,. (4) ( ) 300.. 100 100% MBS 1. 3) (1) BIS 138
(BIS) (MBS)., KoMoCo MBS 20% SPC ABS MBS 50%. MBS (LTV-ratio) 65% 50%. MBS. MBS KoMoCo 20%. (2) MBS 30% MBS. MBS ABS.. (3), LTV (pooling)., KoMoCo. (4),, 5 139
... 1998,.,.,.. 1999, 2000.,,,.,.. (). 140
. 2000. 7. 24. ( ).. 2000. 7. 1.. 1999.. :.. 2001. 5. (ABS).. 2000. 12. 20. MBS. 1. ( ). 2001. 6. 15. REITs.. 1998.. :.. 2000.... 2001.... 2001. 4... 1997.... 1999.... 1998. 11. 8.... 1998. 12.,.... 1998. 5.. 1. 141
. 1999. 3.,... 1999.... 2000. 6. 21. 13 2... 1999.... 2000.... 1997.... 2001. 5. 9... 1998... 1998... 2000. 5. 29... 2001. 5. (MBS).. 1988.. Bartlett, W. W. 1989. Mortgage-Backed Securities. Prentice Hall. Block, R. L. 1998. Investing in REITs. Bloomberg Press. Fabozzi, F. J. 1996. Bond Markets, Analysis and Strategies. Prentice Hall. Fannie Mae. 1997. 1996 Annual Report. Freddie Mac. 1997. 1996 Annual Report. Ginnie Mae. 1997. Annual Report 1996. Kuhn, R. L. 1990. Mortgage and Asset Securitization. Dow-Jones Irwin. Merton, R. C. 1995. Continuous-Time Finance. Blackwell Publishers Inc. (www.nareits.com) 142
SUMMARY Real Estate Finance in Korea: Market Analysis and Institutional Promotions J uhyun Yoon, Geun- Yong K im, Kyung-H ee M oon and H eon- Joo Park Loan financing has been the only method in real estate sector in Korea. However, even the loan was restricted by regulation and thus, non-institutional financing based on the speculative incentives has accomplished major role in real estate sector. It means that real estate sector was totally separated from the capital market. In the end of 1997, Korea has encountered serious liquidy problems in variou s sectors, so-called foreign exchange and financial crisis. Real estate securitization w as urgently needed to aid restructuring of entrepreneurs and banks. Government has implemented several measures to promote real estate finance in Korea. Real estate finance is adopted to securitize real estate propertiesin capitalmarket, to increase cash-flows into real estate owners, and to eventually return real estate market back to prosperity. The purpose of this study is to analyze new financing methods, such as asset securitization, mortgage securitization, and real estate investment finance, and thus, to suggest measures to activate the newly introduced SUMMARY 143
real estate finance. ABS, MBS, K-REITs, CR-REITs, etc. were mainly focused. This study consists of five chapters. The second chapter, next to an introduction, analyzes the present condition of real estate finance market. Loan used to be the only method for real estate finance before new real estate finance methods such as asset securetization, mortgage securitization, real estate investment companies, etc. are introduced after 1998. Although the regulations on real estate loan has been lifted, the percentage share of real estate loan keeps decreasing becau se of depressed market and financial institutions' recent behavior to avoid risk. Thu s, the introduction of these new real estate finance methods into Korean market has opened new possibilities of real estate asset securitization and real estate investment finance to traditional capital market. How ever, there are still a lot of social and legal obstacles to successful implementation of these new real estate finance methods in Korean market. The third chapter, "The Basic Structure of Real Estate Finance with regard to Relevant Law ", divides real estate finance into real estate securitization(abs and MBS) and real estate investment finance(k-reits, CR -REITs and Real Estate Trusts). Basic structure and major details, and expected effects of each real estate finance methods were examined. The forth chapter, "The Operational Results and Problems of Real Estate Finance", analyzes the operational results, actual effects, and current problems of each real estate finance methods mentioned in chapter 3. Issuance of general ABS has been rapidly increased, how ever, ABS based on real estate properties including MBS was not so activated. Since banks are not lack in liquidity to issue MBS, most of MBS issued until today are from National Hou sing Fund. Since REITs has recently 144
been in force, there are no specific examples of REITs currently in operation. A simplified profit model of an assumed CR-REITs is, therefore, devised to analyze the potential effect of introducing REITs. This chapter points out several obstacles to promote asset backed securities, such as increasing cost of issuing ABS. The fifth chapter, "Policy Suggestions to Promote Real Estate Finance in Korea", proposes policy suggestions in the direction of implementing each methods according to market principles, eliminating any obstacles to promote real estate finance, promoting real estate finance with more emphasis on protecting the right of investors at the beginning, and suggesting policy measures to promote real estate finance and improve market conditions. SUMMARY 145
1. 1) REIT s REITs,,, (corporation), (trust) (association). 41) REITs (mortgage loan)..,,,. REITs 41) (Internal Revenue Code) 865 (a) REITs (corporation), (trust) (association) REITs. 147
. 1960 (Internal Revenue Code) REITs REITs REITs. 2) 2001 9 28 300REITs, 187 REITs 42) (NYSE), (AMEX) (NASDAQ). 187 REITs 1,442. <1-1> REITs ( ) (New York Stock Exchange) 145 140,794,347 (American Stock Exchange) 30 2,491,053 (NASDAQ National Market List) 12 906,137 : 2001 9 28 : (www.nareit.com) 187 144,191,538 2001 9 28 187REITs REITs 43) 156, REITs 44) 22, 42) REITs (equity), (mortgage) (hybrid) REITS. 43) 75%. 44) REITs 75% (mortgage loan) (MBS). 148
REITs 45) 9, 95.4% 2.0%, 2.6% REITs REITs. <1-2> REITs ( ) (%) (Equity) 156 137,585,224 95.4 (Mortgage) 22 2,873,250 2.0 (Hybrid) 9 3,733,064 2.6 187 144,191,538 100.0 : 2001 9 28 NYSE, AMEX, NASDAQ 187 REITs : (www.nareit.com) REITs,. 1972 2001 REITs 11.4%, REITs 13.6%, REITs 8.9%, REITs 10.3%. <1-3> REITs (: %) 11.4 20.7 49.0-42.2 13.6 16.9 47.6-21.4 8.9 28.9 55.9-45.3 10.3 26.5 49.9-52.2 1: 1972 2001 9 28 2: 2001 9 28 1972 2001 55.9% : (www.nareit.com) 45) REITs., (Mortgage loan).. 149
1972 2000 REITs, REITs12.45% (long-term government bond) 9.09%, S&P 500 13.18% 14.65%. REITs, REITs 14.74% (long-term government bond) 11.9%, S&P 500 16.16% 24.88%. <1-4> REITs (: %) REITs S&P 500 1972 2000 12.45 14.74 13.18 16.16 14.65 24.88 11.19 24.52 9.09 11.90 1972 1992 13.01 15.02 11.69 17.05 14.98 26.28 8.85 23.30 8.95 12.74 1993 2000 10.98 14.18 17.18 13.66 13.78 21.13 17.57 27.60 9.46 9.52 : : (www.nareit.com) REITs., 1972, REITs 1973 1975 REITs 56.3%. 1986 (Tax Reform Act), 1990 UPREITs REITs. 1998 1999 REITs, 2000 REITs 25.9%. 20019 28 REITs 9.8% 150
REITs 8.5% 200026.4% REITs 2000 16.0% 55.9%, REITs 2000 11.6% 42.0%. < 1-1> REITs : 2001 2001 9 28 : (www.nareit.com) REITs <1-5>. 2001 9 28 REITs 32.6%, 22.0%, 19.3%, 8.6%, 4.9%, 4.3%, 4.2%, 2.1%, 2.0%. 24.1%, 75.9% 151
REITs. <1-5> REITs (2001 9 28 ) (: US, %) REITs (Industrial/ Office) 35 47,280.0 32.6 (Retail) 43 27,948.9 19.3 (Residential) 25 31,860.8 22.0 (Diversified) 20 12,457.6 8.6 (Lodging/ Resorts) 15 6,012.8 4.2 (Self Storage) 4 6,188.2 4.3 (Health Care) 13 7,026.5 4.9 (Specialty) 8 2,937.7 2.0 (Mortgage) 22 3,081.8 2.1 185 144,794.2 100.0 : (www.nareit.com) 2. (LPT ) 1) LPT (LPT, Listed Property Trust) (unitholders) 1971. LPT (units) (Australia Stock Exchange : ASX), (unit). LPT (equity base),,. 152
2) LPT LPT (unitholders) (investors), 46). LPT 500,. LPT,. < 1-2> LPT / / / / (Trust Manager : Single Responsible Entity) / (Properties ) :. 2000. 11. :,. 3) LPT 1971 600 General Property Trusts(GPT) 46) LPT 1998. 153
Land Lease. 20 LPT, 1991 48, 1998 3 225, 28%, 1998 52LPT,,,,,. 1999 LPT 21%, LPT. LPT 2.4%, 19983.4%, (ROE), LPT 199811.8% 0.9% 10.9%. LPT 13.2%, 11.3%, 11.1%. <1-6> LPT (ROE) (: %, %p) 1998 1999 (office) 3.9 10.4 9.4-1.0 (retail) 2.9 13.3 11.3-2.0 (industrial) 3.6 12.6 13.2 0.6 (diversified) 1.0 11.6 11.1-0.5 (hotel) -8.2-5.4 0.8 6.2 LPT 2.4 11.8 10.9-0.9 : 1999 : Merril Lynch. 2000. 3. Australian Property Trusts. 18 21. 154
4) LPT LPT (Australian Corporation Law) (Australian Stock Exchange Listing Rules). <1-7> LPT - - LPT - (100%) - LPT 2,000 500 - LPT (80 ) - LPT 60% (, ) - 3. 1) (SPC) (1) SPC SPC 90 98 6 (SPC ). SPC 155
, (REITs) (CMBS).,. (2) SPC SPC,,,. SPC. SPC 1 2 2 SPC 1,.,.. (3) SPC. 156
<1-8> SPC SPC 1 50 90% 2) J- REIT s J-REITs 2000 11 ( ) 47). J-REITs, ( ), 48), 1 5(50). J-REITs,,, 4 (<1-9>). J-REITs (,, 47) 1% J-REITs 3 7%, J-REITs 1020. 48),,. 157
),., 1. <1-9> J- REITs 50% 75% 90 50% 50% 50 50% (investor mix) 10 75% 90% ( ) - : Yamauchi Hideaki. 2001. 6. 20. "J-REIT". REITs J-REITs, REITs. 2,000, 158
, 1,000.,., Itochu J-REITs. J-REITs 20025000, 2005 1 3, 201010. 49) <1-10> J- REITs 50) (: ) 2001 2-35-10 Mitsubishi 2001. 9 800 3,000 1 Sumitomoto2001. 9 500 3000 1 Mitsubishi Mitsubishi UBS 1,000-1 SBCM 2 3 200 2,000 3,000 Mitsubishi Itochu Itochu - 3,000 3,000 100 1,000 Itochu Itochu : Yamauchi Hideaki. 2001. 6. 20. "J-REIT". REITs ( ) J-REITs 49) (Daiwa Securities SMBC). 50). 159
<1-11>,, REITs SPC LPT,, RENT act, IR Code Section 856 860 SPC (Australian Corporation Law), + ( ) (MBB),,, ( ),,,, ( ), 1,, ( ),, 1,,, (trust deed) 1 300 2,000 500 5 2,000 open-end, closed-end, closed- closed- finite-life (80 ),, REITs SPC LPT (, ) LPT, SEC ASC 160
,,,, 100% 60% (90% ) (90% ) (100% ) :. 2001. 6.. 161
CR- REIT 4. <2-1> < -24>. <2-1> (bp) CR- REIT 1,300 13%, -91 5%, 2% (A) ( ) 1,209 property management expense 170 50% 30 (B) 170 30 (,,, ) 30 20 35 (),,,, : 10bp,,,, : 500bp 20bp 30bp(, ),,,, 4 32bp, : 3bp, 10bp ) 12 20%, 20%(60bp 0.2) (20) 5 (C) 132 50 :, 330 : (32-35%), ( 32-35%) 35% 163
REIT 100 ( 30% ) 3-4% agency 100 CR- REIT ( ) 10 CR- REIT 5 CR- REIT 48 0.48%(, ) 1 5 5 1 / 100 : 1 5% ( ), 18%. 0.1% (D) 364 5 (72bp) 100 5 10 1 (E) 116 CR- REIT (F) 2 5 1 (3, 1) (G) 407 G = B + (C 35%) + (D / 5) + E + F (H) 802 H = A - G = (I) 729 I = H 100 / 110% = 73 (J) J = H - I (K) 22 K = J 30.8% (L) 50 L = H - (I + K) : 164
5 1) (National Housing Fund) :.,,. (CRC : Corporate Restructuring Company) :,, 3.,.. : (paper company)mutual Fund. (AMC : Asset Management Company) :, 3. 51) ( ),, (1998) -,. 165
,, (, ),. (ABS ; Asset-Backed Securities) :,,.. (Asset Securitization) :... ABB(Asset Backed Bond; ) ABS(Asset Backed Securities; ). : 1998 9. (MBS ; Mortgage Backed Securities) : 20 30. 20 30%, 20 30... (ABS) (MBS). 166
(Mortgage Loan) : 3 ( ) ( 22). (Mortgage Securitization) : KoMoCo KoMoCo.. MBB(Mortgage Backed Bond ; ) MBS(Mortgage Backed Securities ; ). : 1999 1. (REIT : Real Estate Investment Trust) :,.. 1938. 167
. 60. REITs, LPT J-REITs. :,. (SPC : Special Purpose Company) :. (KoMoCo) : 1999 9. 2000 4 (3,690 ), 9 (4,790 ), 12 (3,813 ), 2001 1 (2,377 ) 1 4,670 MBS. : (Subordinate Notes) :..,,.. ( (BIS)..) BIS(Bank for International Settlements) :.. CBO(Collateralized bond obligation) : CBO (Junk bond) CLO(Collateralized loan obligation) (loan) ( ). 168
(pool ) () (CBO/ CLO) pool. CMBS(Commercial Mortgage-Backed Securities) :. (). CMBS, (RMBS). CMO(Collateralized Mortgage Obligation) : (?).. Due Diligence : ABS. LTV : Loan to Value. NPL(Non-Performing Loans : ) : Paper Company :. SPV,,. Pass-Through : SPC pass-through. Pay-Through : SPC. 169
PIR : (Price to Income) 1991 8.22000 5.0 (1995 3.93). Pool : Primary CBO : Primary CBO (SPC), SPC (CBO). CBO CBO(Secondary CBO) Primary CBO SPC CBO. Primary CBO (CBO),. RTC(Resolution Trust Corporation) :.,, 1989 1995. 700. SPV(special purpose vehicle) :. (vehicle). Trustee :.,,, SPC. 170